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Old 10-15-2017, 02:03 PM
fifapro fifapro is offline
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Default Duration Match Assets and Liabilites

Hello,

Hoping someone can point me in the right direction.
I have 4 assets that need to be duration matched with liabilities. Problem is that the liabilities have a longer span in years compared to the longest maturity date of the assets. In order to duration match, would I just build table to get PV's of all four assets to get the duration and match based on the number of each asset?
OR
Do I need to take into account selling and reinvesting into one of the 4 assets?

Is it correct to just match by getting the total PV from assets >= PV of liabilities and match duration? As in I have the total PV of liabilities and duration, on a separate tab do all the work for assets and match?

Can't seem to duration match given some constraints, doesnt seem possible.
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Last edited by fifapro; 10-15-2017 at 03:08 PM.. Reason: Additional Info
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Old 10-15-2017, 06:42 PM
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Sir Issac Sir Issac is offline
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Go over Asset-liability Management Case Study from that modules, that should help you.
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Old 10-16-2017, 10:24 AM
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could you tell me the specific case study/question?
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Old 10-16-2017, 12:01 PM
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Lol.
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Old 12-26-2017, 08:27 PM
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was this the landfill case study from module 4?? i am struggling with a similar problem.
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Old 12-27-2017, 12:12 AM
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Lol.
I love these types of questions....
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Old 12-27-2017, 12:59 AM
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I love these types of questions....
yep
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Old 01-04-2018, 07:55 PM
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Ok so i have taken some time and looked over the Asset Liability case study from module 4. I have worked it over a few times, but i have a few questions.

When duration matching, is it okay to sell assets to match duration overall?

Sorry guys, disregard this. found my error in what i was doing. Remember unless stated to use a flat asset rate, use the bond yield for the duration calculation!!!

Last edited by jayzimmerman3; 01-04-2018 at 10:29 PM..
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Old 02-06-2018, 05:41 PM
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is there a module case study for projecting future losses based on when the accident occured?
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Old 02-07-2018, 05:50 AM
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is there a module case study for projecting future losses based on when the accident occured?
Read the Ratemaking chapter of the book Introduction to Ratemeking and Loss Reserving by Brown and Lennox
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